Econometric Estimation of a Continuous Time Macroeconomic Model of the United Kingdom with Segmented Trends

K B Nowman

Computational Economics, 1998, vol. 12, issue 3, 243-54

Abstract: The exact Gaussian estimation of complicated higher order continuous time econometric models from discrete stock and flow data has only recently been feasible given recent advances in computing processing power. In this paper we estimate a second order continuous time macroeconomic model of the United Kingdom developed by Bergstrom, Nowman and Wymer (1992) recently. The model is extended to include segmented time trends and estimated using recently developed exact Gaussian estimation methods for continuous time econometric models. Citation Copyright 1998 by Kluwer Academic Publishers.

Date: 1998
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